Kolari, James W.; Huang, Jianhua Z.; Liu, Wei; Liao, Huiling - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-23
In a recent book, Kolari et al. developed a new theoretical capital asset pricing model dubbed the ZCAPM. Based on out-of-sample cross-sectional tests using U.S. stocks, the ZCAPM consistently outperformed well-known multifactor models popular in the finance literature. This paper presents...
